找 in this context means to contact/approach/seek/come to see. The whole sentence is very idiomatic and is a good pattern to remember. Roughly, we are asking Is there a particular reason/cause for coming to see me?, or Are you looking for me, because you have something to discuss?
You could also ask, 你来看我有事吗？ (Literally: "You come to see me because of some issue?")
Or even, 你给我打电话有什么事？ (Literally, What is the (particular) cause for calling me?)
You can use this pattern to express the goal/reason [e.g. to discuss something] of some action [e.g. to seek someone]. In Chinese, you don't need to express everything explicitely, e.g. a causative relation between to actions, as above, from the context this will be clear.